Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0516 |
| Annualized Std Dev | 0.2643 |
| Annualized Sharpe (Rf=0%) | 0.1951 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3167.0000 |
| NAs | 1.0000 |
| Minimum | -0.1154 |
| Quartile 1 | -0.0071 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0078 |
| Maximum | 0.1674 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0009 |
| Variance | 0.0003 |
| Stdev | 0.0166 |
| Skewness | 0.2895 |
| Kurtosis | 11.9499 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0126 |
| Loss Deviation | 0.0127 |
| Downside Deviation (MAR=210%) | 0.0162 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.4937 |
| Historical VaR (95%) | -0.0233 |
| Historical ES (95%) | -0.0392 |
| Modified VaR (95%) | -0.0216 |
| Modified ES (95%) | -0.0216 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-08-18 | 2008-11-20 | 2009-07-20 | -0.4937 | 230 | 66 | 164 |
| 2018-01-29 | 2020-03-23 | 2020-11-05 | -0.3556 | 700 | 541 | 159 |
| 2015-04-28 | 2016-01-20 | 2017-07-14 | -0.3265 | 559 | 185 | 374 |
| 2010-11-08 | 2011-10-03 | 2014-07-28 | -0.3081 | 935 | 228 | 707 |
| 2010-04-15 | 2010-05-20 | 2010-09-24 | -0.1557 | 114 | 26 | 88 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | -0.7 | 2.3 | 3.1 | -7.7 | 1 | -2.3 |
| 2009 | -1.5 | -1.1 | 3.5 | 0.8 | 4 | 2.7 | 1 | -1.7 | -3 | -3.8 | 2.3 | -0.1 | 3 |
| 2010 | 1.9 | 1.6 | 2.3 | -1.2 | -2.7 | 0.2 | 0.3 | 2.8 | 1.7 | 1 | 2.8 | 0.2 | 11.2 |
| 2011 | 1.3 | -0.1 | 1.8 | 0.4 | -1.4 | 1.1 | 0.5 | -0.7 | -4.5 | -1.4 | 0 | -0.3 | -3.2 |
| 2012 | 1.7 | 0.5 | 1 | 0.6 | -2.5 | 3.7 | 0.3 | 0.9 | 1 | 1.8 | 0.3 | 1.5 | 11.1 |
| 2013 | 0.5 | 0 | -0.9 | -1.1 | -1.8 | 0.1 | 1.6 | 0.7 | 1.7 | 0.4 | 0.8 | 0.8 | 2.9 |
| 2014 | -0.2 | -0.4 | 1.3 | 0.3 | -0.6 | 0.8 | 0.6 | 0 | -1.6 | 0.5 | -1.6 | 0.4 | -0.5 |
| 2015 | -2.1 | -0.2 | 1 | 0.6 | 0.1 | 0.5 | 0.4 | -3.2 | 0.5 | -0.2 | 1 | -0.3 | -1.9 |
| 2016 | -0.9 | 3.1 | -0.6 | -1 | -0.2 | 0.8 | 0.1 | 0.6 | 0.5 | -0.2 | -0.4 | -0.3 | 1.3 |
| 2017 | 0.2 | 1 | -0.5 | 0.3 | 0.9 | 0.4 | 0.6 | 0.5 | 1.1 | 0.9 | -0.7 | 0.4 | 5.2 |
| 2018 | -1.4 | -0.2 | 1.8 | -0.2 | 1.1 | 1.3 | -0.9 | 0.4 | -0.2 | 3.6 | 0.2 | -0.3 | 5.2 |
| 2019 | -0.7 | 0.3 | 1.4 | -0.4 | 0.1 | 1.4 | -2.1 | 0.3 | -0.6 | 1.4 | -1.7 | 0.3 | -0.2 |
| 2020 | -2.1 | 0.1 | -4.4 | -3.4 | 2.2 | 1 | -0.4 | 1.7 | 1.1 | -1.3 | 1.5 | -0.1 | -4.4 |
| 2021 | 3 | 2.8 | 0.9 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 6.8 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
